Macro-Enveloped RSI Mean Reversion

Family: hybrid · Regime: trending · Complexity: medium · Asset classes: FX Majors, Equity Indices, Large Cap Equities · Timeframes: M15

Thesis

This strategy assumes that established trends (Price > SMA 200) periodically experience 'over-stretched' pullbacks that provide high-probability entry points. By requiring high relative volatility (StDev > 80th percentile) and macro-envelope confirmation (D1 BB), we filter for pullbacks that have sufficient energy to return to the mean, while using structural pivots for objective exits before the trend resumes or reverses.

Components

• D1 Bollinger Bands (Period 90) on M15 (Forward Shifted) (regime) — Defines the 'normal' volatility envelope of the asset over a long-term (90-day) window to avoid entering during parabolic/exhaustion moves.
• AI - RSI Strategy (direction) — Ensures trades are only taken in the direction of the long-term trend (SMA 200) when a short-term pullback occurs (RSI < 30/70).
• Relative Strength Index (RSI) (entry) — Acts as the precise trigger for the entry when momentum begins to recover from the oversold/overbought state.
• Pivot Points (Classic) (exit) — Provides objective, non-lagging price levels for profit-taking based on previous day's structure.
• SuperTrend (risk) — Provides a dynamic, volatility-adjusted stop-loss level that trails the price.
• Standard Deviation (volatility_filter) — Filters out low-volatility 'noise' environments where mean reversion strategies typically fail due to spread and lack of movement.

Known failure conditions

• Price stays pinned to the D1 Bollinger Band edge for multiple sessions (signaling a regime shift from ranging to trending).
• Standard Deviation remains below the 80th percentile for extended periods, leading to trade starvation.

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